Description Usage Arguments Value Author(s) References See Also Examples
Transforms the data from the amplitude-time domain the amplitude-frequency domain pre-multiplied by the orthogonal matrix ,W, whose elements are defined in Harvey A.C. (1978).
1 | gdf(y)
|
y |
a vector of the observed time-series values |
a vector of the estimated coefficients fourier
Francisco Parra
Harvey, A.C. (1978), Linear Regression in the Frequency Domain, International Economic Review, 19, 507-512.
Parra, F. (2014), Amplitude time-frequency regression, (http://econometria.wordpress.com/2013/08/21/estimation-of-time-varying-regression-coefficients/)
1 2 |
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